[Gretl-devel] Re: VECM estimation: gretl vs JMulTi
On Thu, August 31, 2006 12:07, Sven Schreiber wrote:
Ok I can reproduce that. As I suspected, the difference seems to
relate to
deterministic terms, namely the treatment of seasonals.
It very much looks like the seasonals in Jmulti are not centered, which
makes >
a difference if you have a restricted constant, as you know.
So this is a problem of Jmulti which is not nice at all, and thank you for
pointing it out. I'll contact Markus (the jmulti man) about it, but I think
he's on vacation right now.
Well spotted.
I am including a revised version of the script to test linear restrictions on
beta to match what JMulTi does. Note:
1) as you said, this is not the proper way to do it; with a restricted
constant, seasonals must be centered
2) in my previous version I had swapped the last two arguments to pvalue; now
it's ok (degrees of freedom come first)
3) right after the vecm command, comes an example on how to test the same
hypothesis via LR
# ---------- begin script ----------------------
open denmark
genr dummy
vecm 2 1 1 2 3 4 ; dq1 dq2 dq3 --rc
restrict
b1 + b2 = 0
b3 + b4 = 0
end restrict
matrix b = $jbeta
matrix V = $jvbeta
matrix R = { 1, 1, 0, 0, 0 ; 0, 0, 1, 1, 0 }
scalar df = rows(R)
matrix W = R * b
matrix R = R[,2:5]
matrix V = R * V * R'
scalar WT = W' * inv(V) * W
printf "Wald test: %g (%d df, pvalue = %g)\n", WT, df, pvalue(X,df,WT)
# ----------- end script -----------------------
Riccardo "Jack" Lucchetti
Dipartimento di Economia
Facoltà di Economia "G. Fuà"
Ancona